Trst je desno od Italie (Trieste is out of Italy, at its right side)
Venecija je desno u Italiji (Venice is in Italy, at its right side)

Is this the way of expressing the concept of being in/out a place and, at the same time, in one side of it?

Sometimes at work I've said that a shop "je desno od trga" (but IN the square), and people have been looking for the shop in the streets situated at the right side of the square, but not in the very square!

Trst is part of Italy, right, not out of Italy. "Desno u Italiji" is a pretty odd construction, it can't be be put like that... "na desnoj obali" is fine.

Well... I would describe it in this way: it's not about "in/out" of place. You measure the horizontal value in space - the X coordinate. Objects are distributed along that imaginary line, all with different X coordinates, so you can make comparasion between them. On the "right" side are objects with the greater X coordinates (desno od, desno u odnosu na...)

Desno od trga means OUT of (off) square area. (one information)Na trgu, desno - in the square, on the right side (two information)
Desno na slici - in the picture, right (two information)Desno na putu za Beograd - on the road to Belgrade, to/on the right side (of it)

Desno na is used in certain expressions, for example direction - zdesna na levo - right to left. Pišite desno na levo.nadesno - to the right